Optimal Capital Structure and Risk Management Policies of Banks That Use CoCo Futures to Hedge Financial-Sector Risk

DOI10.1093/ROF/RFAD022MaRDI QIDQ6201172zbMATH OpenOpenAlexFDO

Authors

Publication date 20 February 2024

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/rof/rfad022

zbMATH Keywords

financial crisesrisk managementbankbailouttoo-big-to-fail

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial networks (including contagion, systemic risk, regulation) (91G45)

Recommendations

• Pricing contingent convertibles with idiosyncratic risk
• Dynamic capital structure and the contingent capital option
• Risk management under a prudential policy
• On the propensity to issue contingent convertible (CoCo) bonds
• Contingent Convertible Obligations and Financial Stability

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